Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 3 |
| Score | -1.8 | -0.13 | -0.71 |
| Market Cap (Millions USD) | 50.46 | 48.17 | 47.19 |
| Predicted Beta | 0.15 | 0.15 | 0.16 |
| Idiosyncratic Volatility | 0.98 | 1.1 | 1.13 |
Annualized return and volatility
| EWK | |
|---|---|
| Annualized Return | 0.0418 |
| Annualized Std Dev | 0.2428 |
| Annualized Sharpe (Rf=0%) | 0.1721 |
Row
Daily Return Statistics
| EWK | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.1354 |
| Quartile 1 | -0.0063 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1084 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0153 |
| Skewness | -0.2150 |
| Kurtosis | 7.1495 |
Downside Risk
| EWK | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.7410 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0373 |
| Modified VaR (95%) | -0.0236 |
| Modified ES (95%) | -0.0411 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-13 | 2009-03-09 | 2017-06-02 | -0.7410 | 2534 | 427 | 2107 |
| 2000-01-04 | 2003-03-12 | 2004-02-06 | -0.5211 | 1048 | 814 | 234 |
| 2018-01-29 | 2018-12-24 | NA | -0.2872 | 489 | 233 | NA |
| 2006-05-11 | 2006-06-13 | 2006-08-30 | -0.1605 | 79 | 23 | 56 |
| 2004-02-18 | 2004-05-13 | 2004-08-26 | -0.1189 | 135 | 62 | 73 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.0 | -1.5 | 0.0 | -2.0 | -2.4 | 0.0 | -3.1 | 0.5 | 0.0 | 0.0 | 2.1 | 0.0 | -5.4 |
| 2001 | 1.2 | 0.0 | 0.0 | 0.0 | -0.7 | 0.0 | 1.6 | 0.0 | 0.0 | 0.9 | 0.0 | 0.0 | 3.0 |
| 2002 | -0.1 | 0.6 | 0.6 | 0.0 | 0.0 | 0.3 | -3.0 | 0.0 | 2.3 | 1.6 | 0.0 | 0.0 | 2.3 |
| 2003 | 0.0 | 0.0 | 1.8 | -0.2 | 0.0 | -0.8 | -1.2 | 0.0 | 4.1 | 0.0 | 1.4 | 0.0 | 5.0 |
| 2004 | 0.0 | 1.3 | 1.9 | 0.0 | 0.3 | -0.9 | 0.0 | 1.5 | 1.4 | -0.1 | 1.8 | 0.0 | 7.4 |
| 2005 | 0.6 | 0.0 | -0.1 | 0.0 | -0.4 | -0.3 | 1.0 | 1.2 | 0.0 | -0.3 | 0.8 | 0.0 | 2.4 |
| 2006 | 0.0 | 0.6 | 0.0 | -0.4 | 0.1 | 0.0 | -0.2 | 0.8 | 0.0 | 0.2 | -0.6 | 0.0 | 0.5 |
| 2007 | 0.1 | -1.6 | 0.0 | 0.2 | 0.1 | 0.0 | 0.4 | 0.0 | 0.2 | -2.2 | 0.0 | 0.0 | -2.8 |
| 2008 | 1.7 | 0.0 | 2.7 | 1.1 | 0.0 | -1.3 | 0.2 | 0.0 | 1.4 | 0.0 | -6.0 | 0.0 | -0.6 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.4 | 1.0 | 2.1 | 0.0 | -2.9 | -2.9 | 0.0 | 2.9 | 0.0 | 2.5 |
| 2010 | 2.7 | 0.6 | 1.2 | 0.0 | -0.6 | 2.4 | 0.0 | 3.9 | 0.8 | 0.0 | 3.6 | 0.0 | 15.5 |
| 2011 | 2.3 | -0.3 | 1.2 | 0.0 | -2.0 | 0.7 | -1.7 | -1.7 | 0.0 | -3.6 | -1.5 | 0.0 | -6.5 |
| 2012 | 2.4 | 0.6 | 0.0 | 1.0 | -2.1 | 0.0 | 0.2 | 0.0 | 0.1 | 0.2 | 0.0 | 0.0 | 2.4 |
| 2013 | 2.9 | -0.5 | -0.6 | -0.7 | 0.0 | 0.1 | 1.0 | 0.0 | 0.4 | -0.8 | 0.0 | 0.0 | 1.8 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.5 | 0.0 | 0.9 | -0.9 | 0.0 | -1.0 | 0.0 | 0.1 | 0.0 | 0.1 |
| 2015 | 0.0 | 0.0 | 0.8 | 0.9 | -0.7 | 1.3 | 0.0 | -1.9 | 0.4 | 0.0 | 0.6 | 0.0 | 1.3 |
| 2016 | 0.2 | 2.5 | 0.5 | 0.0 | 1.3 | 0.2 | -1.6 | 0.9 | 0.0 | -0.2 | -0.9 | 0.0 | 2.7 |
| 2017 | 0.6 | 1.3 | 0.0 | 0.2 | 0.9 | 0.0 | 0.2 | 0.1 | 0.0 | 0.0 | 0.1 | 0.0 | 3.6 |
| 2018 | 0.7 | -0.4 | 0.0 | -0.3 | 0.5 | 0.0 | -0.2 | 0.0 | 0.1 | 2.3 | 0.0 | 0.0 | 2.7 |
| 2019 | 0.3 | 2.1 | 0.9 | -0.4 | 0.0 | 0.2 | -0.1 | 0.0 | -1.3 | 1.0 | 0.0 | 0.3 | 3.0 |
Row
Rolling Performance Chart
Snail Trail Chart
